Strategy Zoo / S0050
RSIPullbackInUptrend_V0050
ARCHIVEDbuy_the_dipstructuralreplaced exit rule with: breakout_50 == 1; changed rsi_14 threshold 45.0 -> 55.239
Fitness
0.1857
Generation
2
Complexity
5
Created
2026-09-18
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# RSIPullbackInUptrend_V0050 [buy_the_dip]
require regime.trend in ['UPTREND', 'SIDEWAYS']
if flat and (rsi_14 < 55.239 and sma_50 > sma_200):
position = 1.0
if long and breakout_50 == 1:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.2% | 2.5% | -10.0% | -2.2% |
| Total Return | -1.4% | 7.8% | -32.1% | -27.9% |
| Sharpe | 0.15 | 0.30 | -0.16 | 0.12 |
| Sortino | 0.12 | 0.31 | -0.16 | 0.11 |
| Calmar | -0.00 | 0.05 | -0.23 | -0.03 |
| Volatility | 30.7% | 50.6% | 32.5% | 36.1% |
| Max DD | -58.1% | -51.9% | -43.8% | -75.1% |
| Win Rate | 56.4% | 50.0% | 53.3% | 54.4% |
| Avg Win | 8.6% | 20.5% | 10.5% | 11.2% |
| Avg Loss | -9.6% | -14.9% | -14.6% | -11.9% |
| Payoff | 0.89 | 1.38 | 0.72 | 0.94 |
| Expectancy | 0.7% | 2.8% | -1.2% | 0.7% |
| Profit Factor | 1.16 | 1.38 | 0.82 | 1.13 |
| Trades | 39 | 14 | 15 | 68 |
| Avg Holding Days | 20.4 | 25.9 | 24.1 | 22.4 |
| Turnover | 9.8 | 9.3 | 8.1 | 9.3 |
| Exposure | 37.7% | 46.0% | 37.3% | 39.3% |
Growth of $100
RSIPullbackInUptrend_V0050 vs TSLA Buy & Hold
RSIPullbackInUptrend_V0050 TSLA Buy & HoldIn-sampleValidationHidden test
Growth of $100 · log scale · in-sample, validation and hidden-test segments are shaded separately and must not be compared as one out-of-sample track record.
Walk-Forward Years
year-by-year stability matters more than any single year
| Year | CAGR | Sharpe | Max DD | Trades |
|---|---|---|---|---|
| 2016 | -24.2% | -1.23 | -29.3% | 3 |
| 2017 | 12.5% | 0.56 | -21.4% | 8 |
| 2018 | -21.1% | -1.10 | -29.9% | 1 |
| 2019 | 3.5% | 0.27 | -17.2% | 2 |
| 2020 | 103.4% | 1.44 | -51.8% | 3 |
| 2021 | -8.5% | 0.03 | -37.1% | 5 |
| 2022 | -49.3% | -1.61 | -49.2% | 6 |
A robust strategy performs acceptably in most years rather than spectacularly in one — look for consistency across regimes, not a single outlier year.
Regime Performance
| Period | Regime | Days | Ann. Return | Sharpe | Exposure |
|---|---|---|---|---|---|
| hidden test | DOWNTREND | 267 | -17.4% | -2.10 | 3% |
| hidden test | EXPENSIVE | 83 | 102.1% | 1.81 | 43% |
| hidden test | EXTREME | 48 | 6.1% | 0.17 | 46% |
| hidden test | HIGH VOLATILITY | 254 | 36.8% | 0.95 | 22% |
| hidden test | LOW VOLATILITY | 429 | -32.8% | -1.27 | 43% |
| hidden test | MEDIUM VOLATILITY | 248 | -1.0% | -0.03 | 44% |
| hidden test | NORMAL | 800 | -17.1% | -0.60 | 36% |
| hidden test | SIDEWAYS | 293 | -47.0% | -1.48 | 44% |
| hidden test | UPTREND | 371 | 36.4% | 0.86 | 56% |
| train | DOWNTREND | 518 | -37.4% | -2.10 | 4% |
| train | EXPENSIVE | 311 | 46.6% | 1.17 | 50% |
| train | EXTREME | 100 | 62.9% | 3.24 | 9% |
| train | HIGH VOLATILITY | 699 | 7.0% | 0.18 | 34% |
| train | LOW VOLATILITY | 745 | 7.2% | 0.34 | 36% |
| train | MEDIUM VOLATILITY | 568 | -2.0% | -0.06 | 43% |
| train | NORMAL | 1,601 | -7.3% | -0.25 | 37% |
| train | SIDEWAYS | 592 | 19.0% | 0.51 | 57% |
| train | UPTREND | 902 | 19.1% | 0.61 | 44% |
| validation | DOWNTREND | 125 | -47.1% | -3.37 | 6% |
| validation | EXPENSIVE | 138 | 34.0% | 0.57 | 55% |
| validation | EXTREME | 144 | 129.1% | 2.42 | 31% |
| validation | HIGH VOLATILITY | 258 | 75.6% | 1.06 | 51% |
| validation | LOW VOLATILITY | 183 | 2.9% | 0.11 | 44% |
| validation | MEDIUM VOLATILITY | 315 | -27.0% | -0.68 | 43% |
| validation | NORMAL | 474 | -24.8% | -0.53 | 48% |
| validation | SIDEWAYS | 206 | -31.9% | -0.57 | 75% |
| validation | UPTREND | 425 | 56.5% | 1.04 | 44% |
Trades (full period)
68 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-03-17 | 2026-03-19 | $399.27 | $380.30 | -0.90% | 3 | |
| 2025-12-30 | 2026-03-16 | $454.43 | $395.56 | -15.06% | 52 | |
| 2025-11-05 | 2025-12-16 | $462.07 | $489.88 | 6.78% | 29 | |
| 2025-10-31 | 2025-11-04 | $456.56 | $444.26 | 6.21% | 3 | |
| 2025-10-13 | 2025-10-29 | $435.90 | $461.51 | 11.16% | 13 | |
| 2025-07-02 | 2025-08-06 | $315.65 | $319.91 | 2.46% | 25 | |
| 2025-03-26 | 2025-03-27 | $272.06 | $273.13 | -5.77% | 2 | |
| 2024-12-31 | 2025-03-05 | $403.84 | $279.10 | -34.96% | 43 | |
| 2024-11-04 | 2024-11-07 | $242.84 | $296.91 | 15.65% | 4 | |
| 2024-10-04 | 2024-10-28 | $250.08 | $262.51 | 11.64% | 17 | |
| 2024-07-30 | 2024-09-26 | $222.62 | $254.22 | 10.51% | 42 | |
| 2024-01-02 | 2024-02-02 | $248.42 | $187.91 | -24.15% | 23 | |
| 2023-11-03 | 2023-12-28 | $219.96 | $253.18 | 19.41% | 38 | |
| 2023-10-25 | 2023-10-26 | $212.42 | $205.76 | -2.09% | 2 | |
| 2023-07-21 | 2023-10-23 | $260.02 | $212.08 | -19.53% | 66 | |
| 2022-05-18 | 2022-05-23 | $236.60 | $224.97 | -13.01% | 4 | |
| 2022-04-11 | 2022-05-13 | $325.31 | $256.53 | -29.16% | 24 | |
| 2022-03-16 | 2022-03-29 | $280.08 | $366.52 | 35.89% | 10 | |
| 2022-03-10 | 2022-03-14 | $279.43 | $255.46 | -7.59% | 3 | |
| 2022-03-01 | 2022-03-07 | $288.12 | $268.19 | -3.89% | 5 | |
| 2021-11-10 | 2022-02-23 | $355.98 | $254.68 | -19.89% | 72 | |
| 2021-09-21 | 2021-09-27 | $246.46 | $263.79 | 5.85% | 5 | |
| 2021-06-11 | 2021-08-03 | $203.30 | $236.58 | 16.08% | 37 | |
| 2021-05-24 | 2021-06-10 | $202.15 | $203.37 | 2.88% | 13 | |
| 2021-05-17 | 2021-05-18 | $192.28 | $192.62 | -2.39% | 2 | |
| 2021-02-01 | 2021-05-14 | $279.94 | $196.58 | -28.10% | 73 | |
| 2020-09-09 | 2020-11-19 | $122.09 | $166.42 | 47.09% | 52 | |
| 2020-08-03 | 2020-08-17 | $99.00 | $122.38 | 15.15% | 11 | |
| 2020-02-28 | 2020-05-11 | $44.53 | $54.09 | 20.44% | 51 | |
| 2019-11-27 | 2019-12-13 | $22.09 | $23.89 | 9.13% | 12 | |
| 2018-12-18 | 2019-03-04 | $22.47 | $19.02 | -15.56% | 51 | |
| 2018-08-16 | 2018-09-06 | $22.36 | $18.73 | -17.28% | 15 | |
| 2017-12-07 | 2017-12-08 | $20.75 | $21.01 | -0.84% | 2 | |
| 2017-11-13 | 2017-12-06 | $21.03 | $20.88 | 0.04% | 17 | |
| 2017-11-06 | 2017-11-07 | $20.19 | $20.40 | -1.28% | 2 | |
| 2017-09-22 | 2017-11-03 | $23.41 | $20.41 | -18.51% | 31 | |
| 2017-06-28 | 2017-09-14 | $24.75 | $25.18 | 0.87% | 55 | |
| 2017-05-18 | 2017-05-31 | $20.87 | $22.73 | 9.25% | 9 | |
| 2017-05-05 | 2017-05-11 | $20.56 | $21.54 | 9.86% | 5 | |
| 2017-02-24 | 2017-04-04 | $17.13 | $20.25 | 16.38% | 28 | |
| 2016-07-22 | 2016-10-06 | $14.82 | $13.40 | -5.65% | 54 | |
| 2016-07-06 | 2016-07-08 | $14.30 | $14.45 | 0.71% | 3 | |
| 2016-05-03 | 2016-06-27 | $15.49 | $13.24 | -20.28% | 39 | |
| 2015-11-16 | 2015-11-17 | $14.29 | $14.27 | 3.23% | 2 | |
| 2015-11-03 | 2015-11-11 | $13.89 | $14.61 | 1.06% | 7 | |
| 2015-10-20 | 2015-10-21 | $14.20 | $14.01 | -6.80% | 2 | |
| 2015-07-22 | 2015-10-12 | $17.86 | $14.37 | -17.44% | 58 | |
| 2015-07-09 | 2015-07-21 | $17.19 | $17.78 | 10.49% | 9 | |
| 2015-01-08 | 2015-01-13 | $14.04 | $13.62 | -4.33% | 4 | |
| 2014-12-19 | 2015-01-05 | $14.62 | $14.01 | 0.28% | 10 | |
| 2014-12-10 | 2014-12-11 | $13.99 | $13.93 | -3.45% | 2 | |
| 2014-09-16 | 2014-12-02 | $17.38 | $15.43 | -8.93% | 55 | |
| 2014-07-08 | 2014-08-07 | $14.60 | $16.83 | 11.57% | 23 | |
| 2014-03-17 | 2014-06-18 | $15.60 | $15.14 | 0.10% | 66 | |
| 2013-10-04 | 2014-01-22 | $12.07 | $11.90 | 1.75% | 75 | |
| 2013-07-17 | 2013-07-30 | $8.02 | $8.78 | 23.21% | 10 | |
| 2013-02-19 | 2013-04-02 | $2.62 | $2.96 | 18.37% | 30 | |
| 2013-01-07 | 2013-01-24 | $2.29 | $2.47 | 4.44% | 13 | |
| 2012-12-27 | 2013-01-03 | $2.25 | $2.32 | 5.06% | 5 | |
| 2012-06-18 | 2012-07-16 | $2.12 | $2.40 | 14.29% | 20 | |
| 2012-06-14 | 2012-06-15 | $1.96 | $1.99 | -1.48% | 2 | |
| 2012-06-11 | 2012-06-12 | $1.94 | $1.98 | -3.39% | 2 | |
| 2012-05-22 | 2012-06-04 | $2.05 | $1.86 | -2.34% | 9 | |
| 2012-04-05 | 2012-05-16 | $2.30 | $1.95 | -16.08% | 29 | |
| 2012-03-23 | 2012-03-27 | $2.27 | $2.53 | 8.50% | 3 | |
| 2012-03-07 | 2012-03-13 | $2.21 | $2.41 | 8.54% | 5 | |
| 2012-01-18 | 2012-02-21 | $1.79 | $2.30 | 31.20% | 24 | |
| 2012-01-04 | 2012-01-17 | $1.85 | $1.77 | -19.00% | 9 |